I have a collection of expert advisor (EA) scripts written in the MQL5 programming language for the stock/forex trading platform, MetaTrader5. The extension of these files is mq5. I am looking for a way to programatically run these MQL5 files from my Python script on a regular basis. The EAs do some price transformations, eventually saving a set of csv files that will later be read by my Python script to apply Machine Learning models on them.
My first natural choice was the Python API for MetaTrader5. However, according to its documentation, it "is designed for convenient and fast obtaining of exchange data via interprocessor communication directly from the MetaTrader 5 terminal" and as such, it doesn't provide the functionality I need to be able to run MQL scripts using Python.
I have found some posts here on SO (such as #1, #2) about executing non-python files using Python but those posts seemed to always come with the precondition that they already had Python code written in them, only the extension differed - this is different from my goal.
I then came across Python's subprocess module and started experimenting with that.
print(os.path.isfile(os.path.join("path/to/dir","RSIcalc.mq5")))
with open(os.path.join("path/to/dir","RSIcalc.mq5")) as f:
subprocess.run([r"C:\Program Files\MetaTrader 5\terminal64.exe", f], capture_output=True)
The print statement returns True, so the mq5 file exists in the specified location. Then the code opens the MetaTrader5 terminal but nothing else happens, the EA doesn't get executed, process finishes immediately after that.
Am I even on the right track for what I'm trying to achieve here? If yes, what might be the solution for me to run these MQL5 scripts programatically from Python?
Edit: I use Windows 10 64-bit.
subprocess is indeed the right module for what you want to achieve. But let's look at what you're doing here:
with open(os.path.join("path/to/dir","RSIcalc.mq5")) as f
You're creating a file descriptor handle called f, which is used to write or read contents from a file. If you do print(f) you'll see that it's a python object, that converted to string looks like <_io.TextIOWrapper name='RSIcalc.mq5' mode='r' encoding='UTF-8'>. It is extremely unlikely that such a string is what you want to pass as a command-line parameter to your terminal executable, which is what happens when you include it in your call to subprocess.run().
What you likely want to do is this:
full_path = os.path.abspath(os.path.join("path/to/dir","RSIcalc.mq5"))
result = subprocess.run([r"C:\Program Files\MetaTrader 5\terminal64.exe", full_path], capture_output=True)
Now, this assumes your terminal64 can execute arbitrary scripts passed as parameters. This may or may not be true - you might need extra parameters like "-f" before passing the file path, or you might have to feed script contents through the stdin pipe (unlikely, on Windows, but who knows). That's for you to figure out, but my code above should probably be your starting point.